Features:

- Investing Factors Portfolio Financing Scheme (35, 36) - Investing Factors Portfolio Financing Scheme - Zero Investment (37) - Investing Factors Portfolio Financing Scheme - Zero Cost/Self (38, 39) - Investing Factors Factor Portfolio Shell (40, 41) - Portfolio Construction Core Block Hashcode (42, 43, 44) - Portfolio Construction Core Asset Hashcode (45, 46) - Factor Investing Component Loading Map (47, 48) - Investing Factors Factor Portfolio Country (49, 50) - Investing Factors Factor Portfolio Is Global (51, 52) - Investing Factors Factor Portfolio Financing Scheme (53, 54) - Investing Factors Factor Portfolio Country - Constructor (55, 56, 57) - Investing Factor Portfolio Builder Shell (58, 59) Bug Fixes/Re-organization: - Special Function Incomplete Gamma Lower S Fixed Series - Weierstrass Limit (1, 2) - Special Function Incomplete Gamma Lower S Fixed Series - NIST 2019 Limit (3, 4, 5) - Special Function Incomplete Gamma Lower S Fixed (6, 7, 8) - Special Function Incomplete Gamma Lower S Fixed - Series (9) - Special Function Incomplete Gamma Lower S Fixed - Constructor (10, 11) - Special Function Incomplete Gamma Lower S Fixed - Weierstrass Limit #1 (12) - Special Function Incomplete Gamma Lower S Fixed - Non-dimensional (13) - Special Function Incomplete Gamma Lower S Fixed - Evaluate (14, 15) - Special Function Incomplete Gamma Lower S Fixed - Weierstrass Limit #2 (16, 17) - Special Function Incomplete Gamma Lower S Fixed - NIST 2019 (18, 19, 20) - Special Function Incomplete Gamma Lower Regularized (21, 22, 23) - Special Function Incomplete Gamma Lower Regularized - Constructor (24) - Special Function Incomplete Gamma Lower Regularized - p (25) - Special Function Incomplete Gamma Lower Regularized - Gauss Continued Fraction (26, 27) - Special Function Incomplete Gamma Lower Regularized - Euler Integral (28, 29) - Special Function Incomplete Gamma Lower Regularized - Weierstrass Limit (30, 31) - Special Function Incomplete Gamma Lower Regularized - NIST 2019 (32, 33) - Risk Factor Premium Migration Re-factoring (34) - Factor Portfolio Builder To Ranker (60) Samples: IdeaDRIP:
lakshmiDRIP · Feb 27, 2024 · 38a8914 · 38a8914
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diff --git a/IdeaDRIP/FactorInvesting/FI_v0.01 b/IdeaDRIP/FactorInvesting/FI_v0.01
@@ -0,0 +1,39 @@
+
+ Factor Investing
+ ----------------
+ 1) Security Characteristics - aka Factors: Size, Low-volatility, Value, Momentum, Asset growth, Profitability, Leverage, Liquidity, Term, Carry - DONE
+ 2) Beta Tilt Direction - Towards (+ve), Away (-ve) - DONE
+ 3) Risk Premia Category - Corporates, Govvies, Equity, Commodities - DONE
+ 4) Value Factor - Difference between Intrinsic/Fundamental Value and Market Value
+ 5) Value Factor Metrics - P/E Ratio, P/B Ratio, P/S Ratio, Dividend Yield
+ 6) Low-volatility Factor - Portfolio acquires only low-volatility assets
+ 7) Momentum Factor - High returns over past 3-12 months minus Low returns over past 3-12 months, Returns Horizon, Momentum Lag
+ 8) Momentum Factor caused by seasonality (e.g., January effect)
+
+ Fama-French Three-Factor Model
+ ------------------------------
+ 1) Three Factors - Market Excess Return, Outperformance of Small versus Big Cap, Outperformance of High/low book-to-market (value)
+ 2) Market Factor - PRESENT/ABSENT
+ 3) Accounting Manipulation Proxy Factor - Replacement for the Value Factor
+ 4) CAPM - Single Factor, i.e., Market Factor
+ 5) Factor Component Loading - Weight, Returns, Category - DONE
+ 6) Portfolio Type - Zero Investment or Zero Cost (Self Financing) - DONE
+ 7) Factor Portfolio - Asset Map of Factor Component Loading, Country, Is Global, Portfolio Type - DONE
+ 8) Factor Portfolio Builder - Factor Component Loading vs Score Ordered Map, Component Ranking Scheme, Re-ranked Components, Top List, Bottom List, Weight Sign
+ 9) Factor - Code, Description, Factor Portfolio
+10) Factor Model - Model Code, Model Description, Collection of Factors
+11) Asset Factor Loading - Factor Returns, Factor, Asset Factor Beta
+12) Factor Regressor - Asset Specification - DONE
+13) Risk Free Setting - Instrument (Treasury/LIBOR/OIS/SOFR), Tenor (e.g., 3M), Rate
+14) Factor Regressor Output - Collection of Asset Factor Loading, Factor Risk Free Premia, Alpha, Asset Returns, Asset Risk Premia
+15) Factor Regressor Function - Apply Risk Free Setting to Factor Regressor to generate Factor Regressor Output
+16) CAPM One-Factor Model - Market Factor
+17) Fama-French Three-Factor Model - Market Factor, Size Factor, Value Factor
+18) Mramor-Pahor Three-Factor Model - Market Factor, Size Factor, Accounting Manipulation Proxy Factor
+19) Fama-French Five-Factor Model - Market Factor, Size Factor, Value Factor, Profitability Factor, Investing Factor
+
+ Carhart Four-Factor Model
+ ------------------------------
+ 1) Four Factors - Market Excess Return, Outperformance of Small versus Big Cap, Outperformance of High/low book-to-market (value), Momentum Factor
+ 2) Market Portfolio Name - CRSP
+ 3) MOM Portfolio Name - UMD 12M winners minus 12M losers
diff --git a/ReleaseNotes/08_03_2023.txt b/ReleaseNotes/08_03_2023.txt
@@ -0,0 +1,43 @@
+
+Features:
+
+	- Investing Factors Portfolio Financing Scheme (35, 36)
+	- Investing Factors Portfolio Financing Scheme - Zero Investment (37)
+	- Investing Factors Portfolio Financing Scheme - Zero Cost/Self (38, 39)
+	- Investing Factors Factor Portfolio Shell (40, 41)
+	- Portfolio Construction Core Block Hashcode (42, 43, 44)
+	- Portfolio Construction Core Asset Hashcode (45, 46)
+	- Factor Investing Component Loading Map (47, 48)
+	- Investing Factors Factor Portfolio Country (49, 50)
+	- Investing Factors Factor Portfolio Is Global (51, 52)
+	- Investing Factors Factor Portfolio Financing Scheme (53, 54)
+	- Investing Factors Factor Portfolio Country - Constructor (55, 56, 57)
+	- Investing Factor Portfolio Builder Shell (58, 59)
+
+
+Bug Fixes/Re-organization:
+
+	- Special Function Incomplete Gamma Lower S Fixed Series - Weierstrass Limit (1, 2)
+	- Special Function Incomplete Gamma Lower S Fixed Series - NIST 2019 Limit (3, 4, 5)
+	- Special Function Incomplete Gamma Lower S Fixed (6, 7, 8)
+	- Special Function Incomplete Gamma Lower S Fixed - Series (9)
+	- Special Function Incomplete Gamma Lower S Fixed - Constructor (10, 11)
+	- Special Function Incomplete Gamma Lower S Fixed - Weierstrass Limit #1 (12)
+	- Special Function Incomplete Gamma Lower S Fixed - Non-dimensional (13)
+	- Special Function Incomplete Gamma Lower S Fixed - Evaluate (14, 15)
+	- Special Function Incomplete Gamma Lower S Fixed - Weierstrass Limit #2 (16, 17)
+	- Special Function Incomplete Gamma Lower S Fixed - NIST 2019 (18, 19, 20)
+	- Special Function Incomplete Gamma Lower Regularized (21, 22, 23)
+	- Special Function Incomplete Gamma Lower Regularized - Constructor (24)
+	- Special Function Incomplete Gamma Lower Regularized - p (25)
+	- Special Function Incomplete Gamma Lower Regularized - Gauss Continued Fraction (26, 27)
+	- Special Function Incomplete Gamma Lower Regularized - Euler Integral (28, 29)
+	- Special Function Incomplete Gamma Lower Regularized - Weierstrass Limit (30, 31)
+	- Special Function Incomplete Gamma Lower Regularized - NIST 2019 (32, 33)
+	- Risk Factor Premium Migration Re-factoring (34)
+	- Factor Portfolio Builder To Ranker (60)
+
+
+Samples:
+
+IdeaDRIP:
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/src/main/java/org/drip/investing/factors/FactorComponentLoading.java b/src/main/java/org/drip/investing/factors/FactorComponentLoading.java
@@ -128,7 +128,7 @@ public class FactorComponentLoading
 	 * @param weight Factor Weight
 	 * @param returns Factor Returns
 	 * 
-	 * @throws Exception Thriwn if the Inputs are Invalid
+	 * @throws Exception Thrown if the Inputs are Invalid
 	 */
 
 	public FactorComponentLoading (
@@ -138,9 +138,7 @@ public FactorComponentLoading (
 		final double returns)
 		throws Exception
 	{
-		if (!NumberUtil.IsValid (_weight = weight) ||
-			!NumberUtil.IsValid (_returns = returns))
-		{
+		if (!NumberUtil.IsValid (_weight = weight) || !NumberUtil.IsValid (_returns = returns)) {
 			throw new Exception ("FactorComponentLoading Constructor => Invalid Inputs");
 		}
 

diff --git a/src/main/java/org/drip/investing/factors/FactorPortfolio.java b/src/main/java/org/drip/investing/factors/FactorPortfolio.java
@@ -0,0 +1,193 @@
+
+package org.drip.investing.factors;
+
+import java.util.Map;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2024 Lakshmi Krishnamurthy
+ * 
+ *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
+ *  	asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
+ *  	analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
+ *  	equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
+ *  	numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
+ *  	graph builder/navigator, and computational support.
+ *  
+ *  	https://lakshmidrip.github.io/DROP/
+ *  
+ *  DROP is composed of three modules:
+ *  
+ *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
+ *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
+ *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
+ * 
+ * 	DROP Product Core implements libraries for the following:
+ * 	- Fixed Income Analytics
+ * 	- Loan Analytics
+ * 	- Transaction Cost Analytics
+ * 
+ * 	DROP Portfolio Core implements libraries for the following:
+ * 	- Asset Allocation Analytics
+ *  - Asset Liability Management Analytics
+ * 	- Capital Estimation Analytics
+ * 	- Exposure Analytics
+ * 	- Margin Analytics
+ * 	- XVA Analytics
+ * 
+ * 	DROP Computational Core implements libraries for the following:
+ * 	- Algorithm Support
+ * 	- Computation Support
+ * 	- Function Analysis
+ *  - Graph Algorithm
+ *  - Model Validation
+ * 	- Numerical Analysis
+ * 	- Numerical Optimizer
+ * 	- Spline Builder
+ *  - Statistical Learning
+ * 
+ * 	Documentation for DROP is Spread Over:
+ * 
+ * 	- Main                     => https://lakshmidrip.github.io/DROP/
+ * 	- Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
+ * 	- GitHub                   => https://github.com/lakshmiDRIP/DROP
+ * 	- Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
+ * 	- Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
+ * 	- Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
+ * 	- Release Versions         => https://lakshmidrip.github.io/DROP/version.html
+ * 	- Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
+ * 	- Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
+ * 
+ *  Licensed under the Apache License, Version 2.0 (the "License");
+ *   	you may not use this file except in compliance with the License.
+ *   
+ *  You may obtain a copy of the License at
+ *  	http://www.apache.org/licenses/LICENSE-2.0
+ *  
+ *  Unless required by applicable law or agreed to in writing, software
+ *  	distributed under the License is distributed on an "AS IS" BASIS,
+ *  	WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ *  
+ *  See the License for the specific language governing permissions and
+ *  	limitations under the License.
+ */
+
+/**
+ * <i>FactorPortfolio</i> has the Portfolio Details that constitute a Factor. The References are:
+ *
+ *	<br><br>
+ * <ul>
+ * 	<li>
+ *  	Baltussen, G., L. Swinkels, and P. van Vliet (2021): Global Factor Premiums <i>Journal of Financial
+ *  		Economics</i> <b>142 (3)</b> 1128-1154
+ * 	</li>
+ * 	<li>
+ *  	Blitz, D., and P. van Vliet (2007): The Volatility Effect: Lower Risk without Lower Return <i>Journal
+ *  		of Portfolio Management</i> <b>34 (1)</b> 102-113
+ * 	</li>
+ * 	<li>
+ *  	Fisher, G. S., R. Shah, and S. Titman (2017): Combining Value and Momentum
+ *  		<i>https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2472936</i> <b>eSSRN</b>
+ * 	</li>
+ * 	<li>
+ *  	Houweling, P., and J. van Zundert (2017): Factor Investing in the Corporate Bond Market <i>Financial
+ *  		Analysts Journal</i> <b>73 (2)</b> 100-115
+ * 	</li>
+ * 	<li>
+ *  	Wikipedia (2024): Factor Investing <i>https://en.wikipedia.org/wiki/Factor_investing</i>
+ * 	</li>
+ * </ul>
+ *
+ *	<br><br>
+ *  <ul>
+ *		<li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
+ *		<li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
+ *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/investing/README.md">Factor/Style Based Quantitative Investing</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/investing/factors/README.md">Factor Types, Characteristics, and Constitution</a></li>
+ *  </ul>
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class FactorPortfolio
+{
+	private String _country = "";
+	private boolean _isGlobal = false;
+	private int _financingScheme = Integer.MIN_VALUE;
+	private Map<String, FactorComponentLoading> _factorComponentLoadingMap = null;
+
+	/**
+	 * FactorPortfolio Constructor
+	 * 
+	 * @param factorComponentLoadingMap Factor Component Loading Map
+	 * @param country Country
+	 * @param isGlobal TRUE - The Portfolio is Global
+	 * @param financingScheme Financing Scheme
+	 * 
+	 * @throws Exception Thrown if the Inputs are Invalid
+	 */
+
+	public FactorPortfolio (
+		final Map<String, FactorComponentLoading> factorComponentLoadingMap,
+		final String country,
+		final boolean isGlobal,
+		final int financingScheme)
+		throws Exception
+	{
+		if (null == (_factorComponentLoadingMap = factorComponentLoadingMap) ||
+			null == (_country = country) || _country.isEmpty())
+		{
+			throw new Exception ("FactorPortfolio Constructor => Invalid Inputs");
+		}
+
+		_isGlobal = isGlobal;
+		_financingScheme = financingScheme;
+	}
+
+	/**
+	 * Retrieve the Factor Component Loading Map
+	 * 
+	 * @return The Factor Component Loading Map
+	 */
+
+	public Map<String, FactorComponentLoading> factorComponentLoadingMap()
+	{
+		return _factorComponentLoadingMap;
+	}
+
+	/**
+	 * Retrieve the Country
+	 * 
+	 * @return The Country
+	 */
+
+	public String country()
+	{
+		return _country;
+	}
+
+	/**
+	 * Indicate if the Portfolio is Global
+	 * 
+	 * @return TRUE - The Portfolio is Global
+	 */
+
+	public boolean isGlobal()
+	{
+		return _isGlobal;
+	}
+
+	/**
+	 * Retrieve the Financing Scheme
+	 * 
+	 * @return The Financing Scheme
+	 */
+
+	public int financingScheme()
+	{
+		return _financingScheme;
+	}
+}